Use of Special Purpose Entities (SPE) and Variable Interest Entities (VIE) (Tables)

3 Months Ended

Mar. 31, 2020

Variable Interest Entity, Consolidated, Carrying Amount, Assets and Liabilities, Net [Abstract]

Schedule of Assets and Liabilities of Consolidated VIE's

The following table presents a summary of the assets and liabilities of the Company's residential loan securitizations, Consolidated SLST and KRVI of as of March 31, 2020 (dollar amounts in thousands). Intercompany balances have been eliminated for purposes of this presentation.



	Financing VIE		Other VIEs
	Residential Loan Securitizations		Consolidated SLST		Other		Total
Cash and cash equivalents	$	—	$	—	$	4	$	4
Residential loans, at fair value	42,984		1,218,299		—		1,261,283
Receivables and other assets	3,337		3,772		14,859		21,968
Total assets	$	46,321	$	1,222,071	$	14,863	$	1,283,255

Residential collateralized debt obligations	$	38,959	$	—	$	—	$	38,959
Residential collateralized debt obligations, at fair value	—		1,034,992		—		1,034,992
Accrued expenses and other liabilities	6		2,646		75		2,727
Total liabilities	$	38,965	$	1,037,638	$	75	$	1,076,678

The following table presents a summary of the assets and liabilities of the Company's residential loan securitizations, the Consolidated K-Series, Consolidated SLST and KRVI as of December 31, 2019 (dollar amounts in thousands):



	Financing VIE		Other VIEs
	Residential Loan Securitizations		Consolidated K-Series		Consolidated SLST		Other		Total
Cash and cash equivalents	$	—	$	—	$	—	$	107	$	107
Residential loans held in securitization trusts, net	44,030		—		—		—		44,030
Residential loans, at fair value	—		—		1,328,886		—		1,328,886
Multi-family loans held in securitization trusts, at fair value	—		17,816,746		—		—		17,816,746
Receivables and other assets	1,328		59,417		5,244		14,626		80,615
Total assets	$	45,358	$	17,876,163	$	1,334,130	$	14,733	$	19,270,384

Residential collateralized debt obligations	$	40,429	$	—	$	—	$	—	$	40,429
Residential collateralized debt obligations, at fair value	—		—		1,052,829		—		1,052,829
Multi-family collateralized debt obligations, at fair value	—		16,724,451		—		—		16,724,451
Accrued expenses and other liabilities	14		57,873		2,643		75		60,605
Total liabilities	$	40,443	$	16,782,324	$	1,055,472	$	75	$	17,878,314

The following table presents the carrying value and estimated fair value of the Company’s financial instruments at March 31, 2020 and December 31, 2019, respectively (dollar amounts in thousands):



		March 31, 2020				December 31, 2019
	Fair Value Hierarchy Level	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Cash and cash equivalents	Level 1	$	172,513	$	172,513	$	118,763	$	118,763
Cash margin ⁽¹⁾	Level 1	169,484		169,484		—		—
Receivable for securities sold	Level 1	213,585		213,585		—		—
Investment securities available for sale, at fair value	Level 2	887,308		887,308		2,006,140		2,006,140
Residential loans, at fair value
Residential loans	Level 3	1,515,347		1,515,347		1,429,754		1,429,754
Consolidated SLST	Level 3	1,218,299		1,218,299		1,328,886		1,328,886
Residential loans held in securitization trusts	Level 3	42,984		42,984		—		—
Residential loans, net	Level 3	—		—		202,756		208,471
Investments in unconsolidated entities	Level 3	211,965		211,965		189,965		191,359
Preferred equity and mezzanine loan investments	Level 3	179,292		179,292		180,045		182,465
Multi-family loans held in securitization trusts, at fair value	Level 3	—		—		17,816,746		17,816,746
Derivative assets	Level 2	—		—		15,878		15,878
Loans held for sale, net ⁽¹⁾	Level 3	—		—		2,406		2,482
Financial Liabilities:
Repurchase agreements	Level 2	1,428,124		1,428,124		3,105,416		3,105,416
Residential collateralized debt obligations	Level 3	38,959		35,029		40,429		38,888
Multi-family collateralized debt obligations, at fair value	Level 3	—		—		16,724,451		16,724,451
Residential collateralized debt obligations, at fair value	Level 3	1,034,992		1,034,992		1,052,829		1,052,829
Subordinated debentures	Level 3	45,000		12,451		45,000		41,592
Convertible notes	Level 2	133,534		76,794		132,955		140,865


⁽¹⁾	Included in receivables and other assets in the accompanying condensed consolidated balance sheets.

Schedule of Classification and Carrying Value of Unconsolidated VIEs



	December 31, 2019
	Investment securities available for sale, at fair value		Preferred equity and mezzanine loan investments		Investments in unconsolidated entities		Total
ABS	$	49,214	$	—	$	—	$	49,214
Preferred equity investments in multi-family properties	—		173,825		106,083		279,908
Mezzanine loans on multi-family properties	—		6,220		—		6,220
Equity investments in entities that invest in residential properties and loans	—		—		65,572		65,572
Total assets	$	49,214	$	180,045	$	171,655	$	400,914

The following tables present the classification and carrying value of unconsolidated VIEs as of March 31, 2020 and December 31, 2019, respectively (dollar amounts in thousands):



	March 31, 2020
	Investment securities available for sale, at fair value		Preferred equity and mezzanine loan investments		Investments in unconsolidated entities		Total
ABS	$	42,344	$	—	$	—	$	42,344
Preferred equity investments in multi-family properties	—		173,863		126,865		300,728
Mezzanine loans on multi-family properties	—		5,429		—		5,429
Equity investments in entities that invest in residential properties and loans	—		—		66,790		66,790
Total assets	$	42,344	$	179,292	$	193,655	$	415,291